If you need a scorecard to tell the Baratheons from the Targaryens, or just want to delve more deeply into the history and legends of A Song of Ice and Fire, then check out the extra features from the first season of Game of Thrones, animated videos that explain the background behind the houses, religion, organizations, and historical events in Westeros and beyond.
I don't know how long these video features will be online, but these are the best argument for purchasing the full first season on Blu-Ray that I've seen yet. HBO produced dozens of short videos outlining the history of Westeros, from the various houses:
To the history of the Night's Watch:
To the lore of the Children of the Forest:
To perspectives on the mad King Aerys from House Stark:
As well as from House Lannister:
And House Baratheon:
These serve as a great distillation for fans of the TV show and the books, as well as a nice introduction for folks who are new to Game of Thrones.